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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...
Persistent link: https://www.econbiz.de/10010471492
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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - 2014 - This version: December 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem’s payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty...
Persistent link: https://www.econbiz.de/10010471923
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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - 2014
Persistent link: https://www.econbiz.de/10010489038
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A Network View on Interbank Market Freezes
Gabrieli, Silvia - 2016
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...
Persistent link: https://www.econbiz.de/10012988703
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A Network View on Interbank Market Freezes
Gabrieli, Silvia - 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...
Persistent link: https://www.econbiz.de/10013039785
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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - Deutsche Bundesbank - 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...
Persistent link: https://www.econbiz.de/10011161231
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A Network View on Interbank Market Freezes
Gabrieli, Silvia; Georg, Co-Pierre - Economic Research Southern Africa (ERSA) - 2015
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem’s payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty...
Persistent link: https://www.econbiz.de/10011165823
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Too-connected versus too-big-to-fail : banks' network centrality and overnight interest rates
Gabrieli, Silvia - 2012
Persistent link: https://www.econbiz.de/10009663921
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The effect of the interbank network structure on contagion and common shocks
Georg, Co-Pierre - In: Journal of banking & finance 37 (2013) 7, pp. 2216-2228
Persistent link: https://www.econbiz.de/10009760700
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Contagious herding and endogenous network formation in financial networks
Georg, Co-Pierre - 2014
When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...
Persistent link: https://www.econbiz.de/10010405430